s&p mila indices - bolsa de santiagointer.bolsadesantiago.com/sitios/en/fichas...

October 2016 S&P Dow Jones Indices: Index Methodology

S&P MILA Indices

Methodology

S&P Dow Jones Indices: S&P MILA Indices Methodology 1

Table of Contents

Introduction 3

Index Family 3

About MILA 4

Eligibility Criteria 5

Index Eligibility 5

Eligibility Factors 5

Index Construction 6

S&P MILA Andean 40 6

S&P MILA Andean Sector Indices 7

S&P MILA Pacific Alliance Composite 9

S&P MILA Pacific Alliance Select 10

S&P MILA Pacific Alliance Select Ex-REITs 11 S&P MILA Pacific Alliance Completion 12

S&P MILA Pacific Alliance Sector Indices 13

S&P MILA Pacific Alliance Size Indices 14

Index Maintenance 15

Rebalancing 15

Currency of Calculation and Pricing 15

Exchange Rate 15

Corporate Actions 16

Investable Weight Factor (IWF) 16 Other Adjustments 16

Base Dates and History Availability 17

Index Data 18

Total Return and Net Return Indices 18

Index Governance 19

Index Committee 19


Index Policy 20

Announcements 20

Pro-forma Files 20

Holiday Schedule 20

Unscheduled Market Closures 20

Recalculation Policy 21

Real-Time Calculation 21

Index Dissemination 22

Tickers 22

FTP 23 Web site 23

Appendix 24

Methodology Changes 24

S&P Dow Jones Indices’ Contact Information 25

Index Management 25

Product Management 25

Media Relations 25 Client Services 25

Disclaimer 26


Introduction Index Family

The index family currently consists of the S&P MILA Andean Indices1 and the S&P MILA Pacific Alliance Indices. S&P MILA Andean Indices. The S&P MILA Andean Indices consist of the following indices:

• S&P MILA Andean 40. The index is designed to measure the largest and most liquid stocks trading on the MILA platform, representing the Andean region, which includes Chile, Colombia, and Peru.

• S&P MILA Andean Sector Indices. The indices are designed to measure the primary sectors represented in the regional equity market. Currently, these indices include the S&P MILA Andean Financials and S&P MILA Andean Resources. These indices are based on GICS®2 sub-industries classified under the Financials sector and Energy, Materials, and Consumer Staples sectors. Constituents must trade on the MILA platform, be members of the S&P Global BMI and meet all other eligibility requirements.

S&P MILA Pacific Alliance Indices. The S&P MILA Pacific Alliance Indices consist of the following indices:

• S&P MILA Pacific Alliance Composite. The index is designed to include all stocks listed on MILA representing Chile, Colombia, Mexico and Peru that are included in the S&P Global BMI.

• S&P MILA Pacific Alliance Select. The index is a sub-index of the S&P MILA Pacific Alliance Composite, designed to measure the largest and most liquid stocks trading on MILA.

• S&P MILA Pacific Alliance Select Ex-REITs. The index, which is a sub-set index of the S&P MILA Pacific Alliance Select, excludes all real estate investment trusts (REITs).

• S&P MILA Pacific Alliance Completion. The index is a sub-index designed to measure all stocks in the S&P MILA Pacific Alliance Composite that are not members of the S&P MILA Pacific Alliance Select.

• S&P MILA Pacific Alliance Sector Indices. The indices are based on the GICS sectors and are derived from the S&P MILA Pacific Alliance Composite. The sector indices are:

o S&P MILA Pacific Alliance Composite Real Estate

o S&P MILA Pacific Alliance Consumer Discretionary

o S&P MILA Pacific Alliance Consumer Staples

o S&P MILA Pacific Alliance Energy

o S&P MILA Pacific Alliance Financials

o S&P MILA Pacific Alliance Health Care

o S&P MILA Pacific Alliance Industrials

o S&P MILA Pacific Alliance Information Technology

1 The S&P MILA 40, S&P MILA Financial and S&P MILA Resources were renamed effective July 14, 2014 to include the word

“Andean” in the index name to more specifically describe the region they represent. 2 The Global Industry Classification Standard (GICS®) was developed by and is the exclusive property of MSCI and S&P Dow Jones

Indices. Global Industry Classification Standard (GICS®) is a service mark of MSCI and S&P Dow Jones Indices.


o S&P MILA Pacific Alliance Materials

o S&P MILA Pacific Alliance Telecommunication Services

o S&P MILA Pacific Alliance Utilities

• S&P MILA Pacific Alliance Size Indices. The indices are subsets of the S&P MILA Pacific Alliance Composite and are comprised of those stocks meeting the following market cap requirements in each of the Pacific Alliance countries:

Index Stock Market Cap Requirements S&P MILA Pacific Alliance MidCap MidCap S&P MILA Pacific Alliance SmallCap SmallCap S&P MILA Pacific Alliance MidSmallCap MidCap and SmallCap

About MILA

The Mercado Integrado Latino Americano (MILA) platform is an integrated trading venture formed by the Colombia, Lima, Mexico, and Santiago Stock Exchanges. It is part of the economic and commercial integration effort among the Pacific Alliance member countries of Chile, Colombia, Peru and Mexico. Additionally, for complete platform integration, and for ensuring smooth cross-border clearing and settlement, there is participation from the securities depositories – DCV from Chile, DECEVAL from Colombia, INDEVAL from Mexico and CAVALI from Peru. MILA was launched on May 30, 2011 with secondary equity trading through an intermediate routing mechanism and has plans to expand. For more information, visit http://mercadomila.com/. This methodology was created by S&P Dow Jones Indices in agreement with MILA to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices and MILA so that the indices continue to achieve their objectives.

http://mercadomila.com/


Eligibility Criteria Index Eligibility

The underlying universe for the S&P MILA Indices is all stocks in the S&P Global BMI that trade on MILA as domestic stocks. Non-domestic stocks of companies with at least 50% of assets or revenues in the MILA region are also eligible. In the case of the S&P MILA Sector Indices, stocks must also meet specific GICS sub-industry classifications.

Eligibility Factors

Market Capitalization. Stocks must meet the float-adjusted market capitalization thresholds as detailed in Index Construction, as of the rebalancing reference date. Float-Adjustment. A stock’s weight in an index is determined by its float-adjusted market capitalization. All strategic holdings are removed from the float-adjusted market capitalization. Please refer to S&P Dow Jones Indices’ Float Adjustment Methodology for a detailed description of float adjustment and Investable Weight Factor (IWF). Liquidity. A stock’s value traded is measured by combining local and North American liquidity, if available. North American exchanges refer specifically to the New York Stock Exchange, NASDAQ, and Toronto Stock Exchange. Constituents must meet the liquidity thresholds as detailed in Index Construction, as of the rebalancing reference date. Listing. The indices use the local listing and/or the MILA listing for each constituent as described in Index Construction. Eligible Securities. All common, investable and preferred shares (which are of an equity and not of a fixed income nature) are eligible for inclusion. Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed fixed return are not eligible. Multiple Share Classes. If a company has multiple share classes, the share class with the higher liquidity is eligible.


Index Construction S&P MILA Andean 40

Approaches. The S&P MILA Andean 40 employs a modified market capitalization-weighted scheme, using the divisor methodology used in all S&P Dow Jones Indices’ equity indices. At each rebalancing, no country can have a weight of more than 50% in the index and each country must have a minimum of five stocks. In addition, no constituent’s weight can exceed 8%. In order to uphold these parameters, the index uses a modified market capitalization-weighting scheme. Modifications are made to market capitalization weights, if required, to reflect available float, reduce country concentration and limit individual stock weights. There are two steps in the creation of the index: 1) The selection of the 40 companies and 2) The weighting of the index constituents. Constituent Selection. Constituent selection is as follows:

1. All constituents of the S&P Global BMI trading on MILA as domestic stocks representing the Andean region (i.e. Chile, Colombia, and Peru) comprise the initial selection universe.

2. All stocks with a float-adjusted market capitalization of less than US$ 100 million and/or median three-month daily value traded of less than US$ 250,000 are removed. In order to reduce turnover, S&P Dow Jones Indices maintains a buffer rule on constituent liquidity. At each rebalancing, if a stock is an existing constituent of the index, it will only be removed if its median three-month daily value traded is less than US$ 150,000. As described in Eligibility Criteria, value traded is measured by combining volume traded in MILA and in North American exchanges. The remaining stocks form the Selection Universe.

3. If a company has multiple share classes, the share class with the lower liquidity is removed. 4. The remaining stocks are sorted in descending order of their float-adjusted market capitalization.

The top 40 companies become index constituents subject to the constraint that there must be a minimum of five stocks per country. However, in order to reduce turnover, S&P Dow Jones Indices maintains a 50% buffer rule on constituent market capitalization. At each rebalancing, if a current index constituent’s float-adjusted market capitalization has fallen below the top 40 but remains above the top 60, the security remains in the index.

If, in the ranking of the eligible universe, any particular country has fewer than five eligible companies from the top 60 stocks, the five largest companies for that market are chosen from the eligible universe. Therefore, some or all of the top five companies for this country may fall outside the top 60 ranked stocks. This is the only time stock selection may exceed the 50% buffer rule described above. S&P Dow Jones Indices believes turnover in index membership should be avoided when possible. At times, a company may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to an index, not for continued membership. As a result, an index constituent that appears to violate criteria for addition to that index is not deleted unless ongoing conditions warrant an index change. Constituent Weightings. At each rebalancing, no single stock’s weight can exceed 8% in the index and no country can represent more than 50% of the index. Adjustments are made to constituents to achieve both of these goals. For more information on the index calculation methodology, please refer to the Modified Market Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.


S&P MILA Andean Sector Indices

Approaches. The S&P MILA Andean Sector Indices employ a modified market capitalization-weighted scheme, using the divisor methodology used in all S&P Dow Jones Indices’ equity indices. There are two steps in the creation of the indices: 1) The selection of the companies and 2) The weighting of the index constituents. The selection of index constituents for each index – S&P MILA Andean Financials and S&P MILA Andean Resources – is based on its corresponding cluster requirement. The following tables define the GICS requirements of each cluster.

S&P MILA Andean Financials 40101010 Diversified Banks 40203020 Investment Banking & Brokerage 40101015 Regional Banks 40203030 Diversified Capital Markets 40102010 Thrifts & Mortgage Finance 40301010 Insurance Brokers 40201020 Other Diversified Financial Services 40301020 Life & Health Insurance 40201030 Multi-Sector Holdings 40301030 Multi-line Insurance 40201040 Specialized Finance 40301040 Property & Casualty Insurance 40202010 Consumer Finance 40301050 Reinsurance 40203010 Asset Management & Custody Banks

S&P MILA Andean Resources

10101010 Oil & Gas Drilling 15103010 Metal & Glass Containers 10101020 Oil & Gas Equipment & Services 15103020 Paper Packaging 10102010 Integrated Oil & Gas 15104010 Aluminum 10102020 Oil & Gas Exploration & Production 15104020 Diversified Metals & Mining 10102030 Oil & Gas Refining & Marketing 15104025 Copper 10102040 Oil & Gas Storage & Transportation 15104030 Gold 10102050 Coal & Consumable Fuels 15104040 Precious Metals & Minerals 15101010 Commodity Chemicals 15104050 Steel 15101020 Diversified Chemicals 15105010 Forest Products 15101030 Fertilizers & Agricultural Chemicals 15105020 Paper Products 15101040 Industrial Gases 30202010 Agricultural Products 15101050 Specialty Chemicals 60101080

Specialized REITs (only Timber REITs are eligible) 15102010 Construction Materials

Constituent Selection. Constituent selection is as follows:

1. All constituents of the S&P Global BMI trading on MILA as domestic stocks representing the Andean region (i.e. Chile, Colombia, and Peru) and categorized according to the corresponding clusters as detailed above comprise the initial selection universe.

2. All stocks with a float-adjusted market capitalization of less than US$ 100 million and/or median three-month daily value traded of less than US$ 250,000 are removed. In order to reduce turnover, S&P Dow Jones Indices maintains a buffer rule on constituent liquidity. At each rebalancing, if a stock is an existing constituent of the sector index, it will only be removed if its median three-month daily value traded is less than US$ 150,000. As described in Eligibility Criteria, value traded is measured by combining volume traded in MILA and in North American exchanges. The remaining stocks form the Selection Universe.

3. If a company has multiple share classes, the share class with the lower liquidity is removed. If, subsequent to the application of the criteria above, the resultant index contains fewer than two stocks from each of the eligible countries, the most liquid stocks from the wider cluster are added to ensure there is sufficient country representation.


S&P Dow Jones Indices believes turnover in index membership should be avoided when possible. At times, a company may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to an index, not for continued membership. As a result, an index constituent that appears to violate criteria for addition to that index is not deleted unless ongoing conditions warrant an index change. Constituent Weightings. At each rebalancing, no single stock’s weight can exceed 20% in the index and no country can represent more than 50% of the index. Additionally, the minimum initial portfolio size that can be turned over in a single day (based on recent trading volumes) cannot be lower than US$ 20 million. For the purpose of applying this criterion, trading volumes include all shares traded on the MILA platform and on the North American exchanges, irrespective of the nature of the stock listing. Constituent weights are determined through the optimization of the constraints above. If no optimal solution is found in this process, the constraint in relation to the minimum initial portfolio size is disregarded prior to optimization. Adjustments are made to the constituents’ market capitalization weights to achieve these goals. For more information on the index calculation methodology, please refer to the Modified Market Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.


S&P MILA Pacific Alliance Composite

Approaches. The S&P MILA Pacific Alliance Composite employs a float-adjusted market capitalization-weighted scheme, using the divisor methodology used in all S&P Dow Jones Indices’ equity indices. There are two steps in the creation of the index: 1) The selection of the companies and 2) The weighting of the index constituents. Constituent Selection. All constituents of the S&P Global BMI trading on MILA as domestic stocks are selected and form the index. S&P Dow Jones Indices believes turnover in index membership should be avoided when possible. At times, a company may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to an index, not for continued membership. As a result, an index constituent that appears to violate criteria for addition to that index is not deleted unless ongoing conditions warrant an index change. Constituent Weightings. Stocks in the index are weighted based on their float-adjusted market capitalization. For more information on the index calculation methodology, please refer to the Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.


S&P MILA Pacific Alliance Select

Approaches. The S&P MILA Pacific Alliance Select employs a modified market capitalization-weighted scheme, using the divisor methodology used in all S&P Dow Jones Indices’ equity indices. At each rebalancing, no country can have a weight of more than 50% in the index and each country must have a minimum number of five stocks. In addition, no constituent’s weight can exceed 8% and the combined weight of stocks weighing 5% or more cannot be greater than 40%. In order to uphold these parameters, the index uses a modified market capitalization-weighting scheme. Modifications are made to market capitalization weights, if required, to reflect available float, reduce country concentration and limit individual stock weights. There are two steps in the creation of the index: 1) The selection of the companies and 2) The weighting of the index constituents. Constituent Selection. Constituent selection is as follows:

1. All constituents of the S&P Global BMI trading on MILA as domestic stocks comprise the initial selection universe.

2. The requirements for index inclusion are a minimum float-adjusted market capitalization of US$ 1 billion and a median six-month daily value traded of at least US$ 1 million. Current constituents remain eligible for index inclusion if their float-adjusted market capitalization is at least US$ 750 million and their combined domestic and North American median six-month daily value traded is at least US$ 750,000. As described in Eligibility Criteria, value traded is measured by combining volume traded locally and in North American exchanges.

3. If a company has multiple share classes, the share class with the lower combined domestic and North American median six-month daily value traded is removed.

4. All companies meeting the above criteria become index constituents subject to the constraint that there must be a minimum of five stocks per country.

If after step 3 any particular country has fewer than five companies, the five largest companies for that market are chosen from the eligible universe following step 1. Therefore, some or all of the top five companies for this country may fall outside the required criteria. S&P Dow Jones Indices believes turnover in index membership should be avoided when possible. At times, a company may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to an index, not for continued membership. As a result, an index constituent that appears to violate criteria for addition to that index is not deleted unless ongoing conditions warrant an index change. Constituent Weightings. At each rebalancing, no single stock’s weight can exceed 8% in the index and no country can represent more than 50% of the index. In addition, the combined weight of stocks weighing 5% or more cannot be greater than 40%. The minimum initial portfolio size that can be turned over in a single day (based on the combined domestic and North American median six-month daily value traded) cannot be lower than US$ 75 million. If necessary, based on market conditions, the portfolio size used to calculate basket liquidity weight may be adjusted to achieve each of the weighting criteria. For more information on the index calculation methodology, please refer to the Modified Market Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.


S&P MILA Pacific Alliance Select Ex-REITs

Index Construction. The S&P MILA Pacific Alliance Select Ex-REITs is a direct sub-set index of the S&P MILA Pacific Alliance Select. It was originally designed to meet Mexican regulatory trading principles. It excluded Mexican real estate investment trusts (REITs) and companies that did not report their financial statements in either U.S. GAAP or IFRS accounting standards, as determined by Bolsa Mexicana de Valores (BMV). Since September 2015, all companies in the S&P MILA Pacific Alliance Select report in one of these standards. The index continues to exclude REITs. Constituent Weightings. The index does not undergo a separate reweighting. During rebalancing, the weight of the S&P MILA Pacific Alliance Select stocks excluded as a result of the criteria mentioned above is redistributed proportionally to the remaining stocks in the index. Thus, the index may at times not comply with the weight or country constraints of the S&P MILA Pacific Alliance Select. For more information on the index calculation methodology, please refer to the Modified Market Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.


S&P MILA Pacific Alliance Completion

Approaches. The S&P MILA Pacific Alliance Completion employs a float-adjusted market capitalization-weighted scheme, using the divisor methodology used in all S&P Dow Jones Indices’ equity indices. There are two steps in the creation of the index: 1) The selection of the companies and 2) The weighting of the index constituents. Constituent Selection. All constituents of the S&P MILA Pacific Alliance Composite that are not members of the S&P MILA Pacific Alliance Select form the index. Constituent Weightings. Stocks in the index are weighted based on their float-adjusted market capitalization. For more information on the index calculation methodology, please refer to the Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.


S&P MILA Pacific Alliance Sector Indices

Approaches. The S&P MILA Pacific Alliance Sector Indices employ a float-adjusted market capitalization-weighted scheme, using the divisor methodology used in all S&P Dow Jones Indices’ equity indices. There are two steps in the creation of the indices: 1) The selection of the companies and 2) The weighting of the index constituents. Constituent Selection. At each rebalancing, constituents of the S&P MILA Pacific Alliance Composite that are categorized according to the following GICS sectors, form each respective S&P MILA Pacific Alliance Sector Index.

• Consumer Discretionary • Information Technology

• Consumer Staples • Materials

• Energy • Telecommunication Services

• Financials • Utilities

• Health Care • Real Estate

• Industrials Constituent Weightings. Stocks in each index are weighted based on their float-adjusted market capitalization. For more information on the index calculation methodology, please refer to the Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.


S&P MILA Pacific Alliance Size Indices

Approaches. The S&P MILA Pacific Alliance Size Indices are subsets of the S&P MILA Pacific Alliance Composite and consist of the following indices:

• S&P MILA Pacific Alliance MidCap

• S&P MILA Pacific Alliance SmallCap

• S&P MILA Pacific Alliance MidSmallCap Company size classification is determined using the S&P Global BMI’s size methodology. For information on the S&P Global BMI, please refer to the S&P Global BMI, S&P/IFCI Methodology available at www.spdji.com. Constituent Weightings. At each rebalancing, the indices are weighted based on the float-adjusted market capitalization of their respective index constituents. For more information on the index calculation methodology, please refer to the Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.

http://www.spdji.com/


Index Maintenance Rebalancing

S&P MILA Andean Indices. The indices are rebalanced semi-annually in March and September. S&P MILA Pacific Alliance Indices. The S&P MILA Pacific Alliance Composite, Completion, Sector, and Size Indices are rebalanced quarterly in March, June, September, and December. The S&P MILA Pacific Alliance Select and S&P MILA Pacific Alliance Select Ex-REITs are rebalanced semi-annually in March and September. The following table details each index’s rebalancing reference and effective dates.

Index

Reference Dates (after close of business)

Effective Dates (after close of business)

S&P MILA Andean 40 Last trading day of February and August

Last trading day of March and September S&P MILA Andean Sector Indices

S&P MILA Pacific Alliance Composite Last trading day of February, May, August, and November

Third Friday of March, June, September, and December

S&P MILA Pacific Alliance Completion S&P MILA Pacific Alliance Sector Indices S&P MILA Pacific Alliance Size Indices S&P MILA Pacific Alliance Select Last trading day of February

and August Third Friday of March and

September S&P MILA Pacific Alliance Select Ex-REITs Additions. Except for spin-offs, companies can only be added to an index at the time of the rebalancing. Deletions. Between rebalancings, deletions can occur due to acquisitions, mergers, takeovers, bankruptcies or delistings. For the S&P MILA Andean Sector indices and the S&P MILA Pacific Alliance Sector Indices, if an index constituent’s GICS classification changes out of the eligible sub-industry classification, the company is removed at the next rebalancing.

Currency of Calculation and Pricing

S&P MILA Andean Indices. The indices are calculated in U.S. dollars, Chilean pesos, Colombian pesos, and Peruvian new soles. S&P MILA Pacific Alliance Indices. With the exception of the S&P MILA Pacific Alliance Sector and Size Indices, the indices are calculated in U.S. dollars, Chilean pesos, Colombian pesos, Mexican pesos and Peruvian new soles. The S&P MILA Pacific Alliance Sector and Size Indices are only calculated in U.S. dollars. Pricing. In order to arrive at the index weights, all calculations are made in U.S. dollars. The indices are calculated in U.S. dollars with the Reuters/WM London closing fix being used to convert the local market prices to U.S. dollars.

Exchange Rate

Real-time spot Forex rates, as supplied by Reuters, are used for ongoing index calculation of real-time indices. WM/Reuters foreign exchange rates are taken daily at 4:00 PM London Time and used in the end-of-day calculation of the indices. These mid-market fixings are calculated by The WM Company based on Reuters data and appear on Reuters pages WMRA.


Corporate Actions

S&P MILA Andean 40, S&P MILA Andean Sector Indices, S&P MILA Pacific Alliance Select and S&P MILA Pacific Alliance Select Ex-REITs. The following table lists the most common corporate events affecting the indices on a daily basis, as well their treatment and divisor impact.

Corporate Action Adjustment Made to Index Divisor

Adjustment? Spin-off Please refer to the Treatment of Spin-offs in S&P Dow Jones Indices’

Equity Indices Policies & Practices document. Rights Offering The price is adjusted to the Price of the Parent

Company minus (the Price of the Rights Offering/Rights Ratio). Index Shares change so that the company's weight remains the same as its weight before the rights offering.

No

Stock Dividend, Stock Split, Reverse Stock Split

Index Shares are multiplied by and price is divided by the split factor.

No

Share Issuance, Share Repurchase, Equity Offering or Warrant Conversion

None. No

Special Dividends Price of the stock making the special dividend payment is reduced by the per share special dividend amount after the close of trading on the day before the dividend ex-date.

Yes

Constituent Change There are no intra-rebalancing additions. - Deletions due to delistings, acquisition or any other corporate event resulting in the deletion of the stock from the index will cause the weights of the rest of the stocks in the index to change. Relative weights will stay the same.

Yes

S&P MILA Pacific Alliance Composite, Completion, Sector and Size Indices. The corporate action treatment for the indices follow that of the underlying S&P Global BMI country indices. For more information, please refer to the S&P Global BMI, S&P/IFCI Methodology at www.spdji.com. For more information on Corporate Actions, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.

Investable Weight Factor (IWF)

All issues in the indices are assigned a float factor, called an Investable Weight Factor (IWF). The IWF ranges between 0 and 1 and is an adjustment factor that accounts for the publicly available shares of a company. Please refer to S&P Dow Jones Indices’ Float Adjustment Methodology for details.

Other Adjustments

In cases where there is no achievable market price for a stock being deleted, it can be removed at a zero or minimal price at the Index Committee’s discretion, in recognition of the constraints faced by investors in trading bankrupt or suspended stocks.




Base Dates and History Availability

Index history availability, base dates and base values are shown in the table below.

Index

Launch Date

First Value Date

Base Date

Base Value

S&P MILA Andean 40 08/29/2011 03/30/2001 03/30/2001 100 S&P MILA Andean Financials 08/29/2011 03/30/2007 03/30/2007 100 S&P MILA Andean Resources 08/29/2011 03/30/2007 03/30/2007 100 S&P MILA Pacific Alliance Composite 07/17/2014 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance Completion 07/17/2014 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance Select 07/17/2014 03/30/2001 03/30/2001 1000 S&P MILA Pacific Alliance Select Ex-REITs 05/18/2015 12/31/2009 12/31/2009 1000 S&P MILA Pacific Alliance Consumer Discretionary 07/17/2014 03/30/2001 03/30/2001 100

S&P MILA Pacific Alliance Consumer Staples 07/17/2014 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance Energy 07/17/2014 01/02/2006 01/02/2006 100 S&P MILA Pacific Alliance Financials 07/17/2014 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance Health Care 07/17/2014 11/11/2006 11/11/2006 100 S&P MILA Pacific Alliance Industrials 07/17/2014 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance Information Technology 07/17/2014 11/01/2007 11/01/2007 100

S&P MILA Pacific Alliance Materials 07/17/2014 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance Telecommunication Services 07/17/2014 03/30/2001 03/30/2001 100

S&P MILA Pacific Alliance Utilities 07/17/2014 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance MidCap 10/03/2016 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance SmallCap 10/03/2016 03/30/2001 03/30/2001 100 S&P MILA Pacific Alliance MidSmallCap 10/03/2016 03/30/2001 03/30/2001 100


Index Data Total Return and Net Return Indices

The index has a total return counterpart, which assumes dividends are reinvested in the index after the close on the ex-date. S&P Dow Jones Indices calculates daily return series using both gross and net cash dividends reinvested. Net return reinvested is reflective of the return to an investor where dividends are reinvested after the deduction of withholding tax. The tax rate applied is the rate to non-resident institutions that do not benefit from double taxation treaties. For more information on the tax rates used in the calculation of net return indices, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com. Please refer to S&P Dow Jones Indices’ Index Mathematics Methodology for more information on total return calculations.



Index Governance Index Committee

The indices are maintained by the S&P/MILA Index Committee. The Index Committee meets semi-annually. All committee members are full-time professional members of S&P Dow Jones Indices’ staff and one member from each of the markets representing MILA. At each meeting, the Index Committee reviews pending corporate actions that may affect index constituents, statistics comparing the composition of the indices to the market, companies that are being considered as candidates for addition to an index, and any significant market events. In addition, the Index Committee may revise index policy covering rules for selecting companies, treatment of dividends, share counts or other matters. S&P Dow Jones Indices considers information about changes to its indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential. For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.



Index Policy Announcements

All index constituents are evaluated daily for data needed to calculate index levels and returns. All events affecting the daily index calculation are typically announced up to 30 days in advance via the Index Corporate Events report (.SDE), delivered daily via ftp to all clients. Any unusual treatment of a corporate action or short notice of an event may be communicated via email to clients. Index methodology is constantly under review for best practices, and any changes are announced well ahead of time via the Web site and email to all clients. For more information, please refer to the Announcements section of S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.

Pro-forma Files

In addition to the corporate events file (.SDE), S&P Dow Jones Indices provides constituent pro-forma files each time the indices rebalance. The pro-forma file is typically provided daily five business days in advance of the rebalancing date and contains all constituents and their corresponding weights and index shares effective for the upcoming rebalancing. Please visit www.spdji.com for a complete schedule of rebalancing timelines and pro-forma delivery times.

Holiday Schedule

The indices are calculated daily, throughout the calendar year, provided at least one MILA stock exchange is open and trading. A complete holiday schedule for the year is available at www.spdji.com.

Unscheduled Market Closures

In situations where an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, S&P Dow Jones Indices will calculate the closing price of the indices based on (1) the closing prices published by the exchange, or (2) if no closing price is available, the last regular trade reported for each security before the exchange closed. If an exchange fails to open due to unforeseen circumstances, S&P Dow Jones Indices treats this closure as a standard market holiday. The index will use the prior day’s closing prices and shifts any corporate actions to the following business day. If all exchanges fail to open or in other extreme circumstances, S&P Dow Jones Indices may determine not to publish the index for that day. For further information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.






Recalculation Policy

S&P Dow Jones Indices reserves the right to recalculate an index under certain limited circumstances. S&P Dow Jones Indices may choose to recalculate and republish an index if it is found to be incorrect or inconsistent within two trading days of the publication of the index level in question for one of the following reasons:

1. Incorrect or revised closing price

2. Missed corporate event

3. Late announcement of a corporate event

4. Incorrect application of corporate action or index methodology Any other restatement or recalculation of an index is only done under extraordinary circumstances to reduce or avoid possible market impact or disruption as solely determined by the Index Committee. For more information on the recalculation policy please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.

Real-Time Calculation

Real-Time, intra-day, index calculations are executed for certain indices. Real-time indices are not restated. For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.




Index Dissemination Index levels are available through S&P Dow Jones Indices’ Web site at www.spdji.com, major quote vendors (see codes below), numerous investment-oriented Web sites, and various print and electronic media.

Tickers

Index Currency Price Return Total Return Net Total Return S&P MILA Andean 40 USD SPMILA SPMILAT SPMILAN CLP SPMILAC SPMILACT SPMILACN COP SPMILAO SPMILAOT SPMILAON PEN SPMILAP SPMILAPT SPMILAPN S&P MILA Andean Financials USD SPMLAF SPMLAFT SPMLAFN

CLP SPMLAFC SPMLAFCT SPMLAFCN COP SPMLAFO SPMLAFOT SPMLAFON PEN SPMLAFP SPMLAFPT SPMLAFPN S&P MILA Andean Resources USD SPMLAR SPMLART SPMLARN

CLP SPMLARC SPMLARCT SPMLARCN COP SPMLARO SPMLAROT SPMLARON PEN SPMLARP SPMLARPT SPMLARPN S&P MILA Pacific Alliance Composite USD SPMPUP SPMPUT SPMPUN

CLP SPMPCP SPMPCT SPMPCN

COP SPMPOP SPMPOT SPMPON

MXP SPMPMP SPMPMT SPMPMN

PEN SPMPPP SPMPPT SPMPPN S&P MILA Pacific Alliance USD SPMPCUP SPMPCUT SPMPCUN Completion CLP SPMPCCP SPMPCCT SPMPCCN

COP SPMPCOP SPMPCOT SPMPCON

MXP SPMPCMP SPMPCMT SPMPCMN

PEN SPMPCPP SPMPCPT SPMPCPN S&P MILA Pacific Alliance Select USD SPMPSUP SPMPSUT SPMPSUN

CLP SPMPSCP SPMPSCT SPMPSCN COP SPMPSOP SPMPSOT SPMPSON MXP SPMPSMP SPMPSMT SPMPSMN PEN SPMPSPP SPMPSPT SPMPSPN S&P MILA Pacific Alliance Select USD SPMPSMUP SPMPSMUT SPMPSMUN Ex-REITs MXP SPMPSMMP SPMPSMMT SPMPSMMN S&P MILA Pacific Alliance Sectors:

Consumer Discretionary USD SPMPCDUP SPMPCDUT SPMPCDUN Consumer Staples USD SPMPCSUP SPMPCSUT SPMPCSUN Energy USD SPMPENUP SPMPENUT SPMPENUN Financials USD SPMPFIUP SPMPFIUT SPMPFIUN Health Care USD SPMPHLUP SPMPHCUT SPMPHCUN Industrials USD SPMPINUP SPMPINUT SPMPINUN Information Technology USD SPMPITUP SPMPITUT SPMPITUN Materials USD SPMPMAUP SPMPMAUT SPMPMAUN Telecomm Services USD SPMPTLUN SPMPTLUT SPMPTLUP Utilities USD SPMPUTUP SPMPUTUT SPMPUTUN

S&P MILA Pacific Alliance Sizes: S&P MILA Pacific Alliance MidCap USD SPMPMCUP SPMPMCUT SPMPMCUN S&P MILA Pacific Alliance SmallCap USD SPMPSCUP SPMPSCUT SPMPSCUN S&P MILA Pacific Alliance MidSmallCap USD SPMPMSUP SPMPMSUT SPMPMSUN



FTP

Daily stock level and index data are available via FTP subscription. For product information, please contact S&P Dow Jones Indices, www.spdji.com/contact-us.

Web site

For further information, please refer to S&P Dow Jones Indices’ Web site at www.spdji.com.

http://www.spdji.com/contact-us



Appendix Methodology Changes

Methodology changes since January 1, 2015 are as follows:

Effective Date Methodology Change (After Close) Previous Updated

S&P MILA Pacific Alliance Select Mexico Domestic: Index Name

10/03/2016 S&P MILA Pacific Alliance Select Mexico Domestic.

S&P MILA Pacific Alliance Select Ex-REITs.

S&P MILA Andean 40 and S&P MILA Andean Sector Indices: Constituent Selection

09/30/2016 All stocks with a float-adjusted market capitalization of less than US$ 100 million and/or average three-month daily value traded of less than US$ 250,000 are removed. In order to reduce turnover, S&P Dow Jones Indices maintains a buffer rule on constituent liquidity. At each rebalancing, if a stock is an existing constituent of the index, it will only be removed if its average three-month daily value traded is less than US$ 150,000.

All stocks with a float-adjusted market capitalization of less than US$ 100 million and/or median three-month daily value traded of less than US$ 250,000 are removed. In order to reduce turnover, S&P Dow Jones Indices maintains a buffer rule on constituent liquidity. At each rebalancing, if a stock is an existing constituent of the index, it will only be removed if its median three-month daily value traded is less than US$ 150,000.

S&P MILA Pacific Alliance Select: Constituent Weightings

09/16/2016 At each rebalancing, no single stock’s weight can exceed 8% in the index and no country can represent more than 50% of the index. In addition, the combined weight of stocks weighing 5% or more cannot be greater than 40%.

At each rebalancing, no single stock’s weight can exceed 8% in the index and no country can represent more than 50% of the index. In addition, the combined weight of stocks weighing 5% or more cannot be greater than 40%. The minimum initial portfolio size that can be turned over in a single day (based on the combined domestic and North American median six-month daily value traded) cannot be lower than US$ 75 million.

S&P MILA Pacific Alliance Select: Constituent Weightings

12/18/2015 At each rebalancing, no single stock’s weight can exceed 8% in the index and no country can represent more than 50% of the index. Adjustments are made to constituents to achieve both of these goals.

At each rebalancing, no single stock’s weight can exceed 8% in the index and no country can represent more than 50% of the index. In addition, the combined weight of stocks weighing 5% or more cannot be greater than 40%. Adjustments are made to constituents to achieve these goals.

Additions 09/30/2015 No companies are added to the indices between rebalancings. Index additions are only made during scheduled rebalancings.

Except for spin-offs, companies can only be added to an index at the time of the rebalancing.


S&P Dow Jones Indices’ Contact Information Index Management

David M. Blitzer, Ph.D. – Managing Director & Chairman of the Index Committee [email protected] +1.212.438.3907

Product Management

Silvia Kitchener – Director [email protected] +1.212.438.3532

Media Relations

Soogyung Jordan – Communications [email protected] +1.212.438.2297

Client Services

[email protected]

mailto:[email protected]


Disclaimer Copyright © 2016 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved. STANDARD & POOR’S, S&P, SPDR, S&P 500, S&P EUROPE 350, S&P 100, S&P 1000, S&P COMPOSITE 1500, S&P MIDCAP 400, S&P SMALLCAP 600, GIVI, GLOBAL TITANS, S&P RISK CONTROL INDICES, S&P GLOBAL THEMATIC INDICES, S&P TARGET DATE INDICES, S&P TARGET RISK INDICES, DIVIDEND ARISTOCRATS, STARS, GICS, HOUSINGVIEWS, INDEX ALERT, INDEXOLOGY, MARKET ATTRIBUTES, PRACTICE ESSENTIALS, S&P HEALTHCARE MONITOR, SPICE, and SPIVA are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”). DOW JONES, DJ, DJIA and DOW JONES INDUSTRIAL AVERAGE are registered trademarks of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks together with others have been licensed to S&P Dow Jones Indices LLC. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices LLC, Dow Jones, S&P or their respective affiliates (collectively “S&P Dow Jones Indices”) do not have the necessary licenses. All information provided by S&P Dow Jones Indices is impersonal and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. S&P Dow Jones Indices makes no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor, and S&P Dow Jones Indices makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such investment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other investment product or vehicle. S&P Dow Jones Indices LLC is not a tax advisor. A tax advisor should be consulted to evaluate the impact of any tax-exempt securities on portfolios and the tax consequences of making any particular investment decision. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. These materials have been prepared solely for informational purposes based upon information generally available to the public and from sources believed to be reliable. No content contained in these materials (including index data, ratings, credit-related analyses and data, research, valuations, model, software or other application or output therefrom) or any part thereof (“Content”) may be modified, reverse-engineered, reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of S&P Dow Jones Indices. The Content shall not be used for any unlawful or unauthorized purposes. S&P Dow Jones Indices and its third-party data providers and licensors (collectively “S&P Dow Jones Indices Parties”) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Dow Jones Indices Parties are not responsible for any errors or omissions, regardless of the cause, for the results obtained from the use of the Content. THE CONTENT IS PROVIDED ON AN “AS IS” BASIS. S&P DOW JONES INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY


SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Dow Jones Indices Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in connection with any use of the Content even if advised of the possibility of such damages. S&P Global keeps certain activities of its various divisions and business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain divisions and business units of S&P Global may have information that is not available to other business units. S&P Global has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. In addition, S&P Dow Jones Indices provides a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address. The Global Industry Classification Standard (GICS®) was developed by and is the exclusive property and a trademark of Standard & Poor’s and MSCI. Neither MSCI, Standard & Poor’s nor any other party involved in making or compiling any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, Standard & Poor’s, any of their affiliates or any third party involved in making or compiling any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. In countries within the global territory other than Chile, MILA is a trademark of Bolsa de Valores de Colombia, S.A, Bolsa de Valores de Lima and Bolsa de Comercio de Santiago. In Chile, MILA is a trademark of Bolsa de Comercio de Santiago and Deposito Central de Valores. This mark has been licensed for use by S&P Dow Jones Indices.

s&p mila indices - bolsa de santiagointer.bolsadesantiago.com/sitios/en/fichas...

Documents